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A simple regime switching term structure model |
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| Authors: | Asbjørn T Hansen Rolf Poulsen |
| Institution: | (1) Global Equities, Dresdner Kleinwort Benson, 20 Fenchurch Street, London EC3P 3DB, UK , GB;(2) Department of Statistics and Operations Research, University of Copenhagen, Universitetsparken 5, DK-2100, Denmark , DK |
| Abstract: | |
| Keywords: | :Regime switching term structure of interest rates numerical methods option pricing |
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